Articles by Mauro Cesa
Podcast: Villani and Musaelian on a quantum boost for machine learning
Classical methods struggle with highly dimensional problems. Quantum cognition takes a different approach, as hedge fund duo explain
A mix of Gaussian distributions can beat GenAI at its own game
Synthetic data is seen as the preserve of AI models. A new paper shows old methods still have legs
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
‘This is not a wobble’: Brunello Rosa on the path to de-dollarisation
Digital currencies will play a central role as China challenges US hegemony, says economist
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
Quants should take care with synthetic data – Lehalle
Synthetic data creates an illusion of certainty and risks messing up portfolio construction, says quant
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
BlackRock tests ‘quantum cognition’ AI for high-yield bond picks
Study uses Qognitive machine learning model to find liquid substitutes for hard-to-trade securities
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift